The former forward has backed his old side to win, but says a change in style may be needed.
The Gunners go into the game needing to beat the Croatian side to keep their slim Champions League hopes alive.
It has not been a good continental campaign for Arsene Wenger’s side so far, having lost three of their four games.
That leaves them six points behind leaders Bayern Munich and Olympiakos, with both clubs currently sitting on nine points in the group.
A win is therefore vital to keep them in the competition, and Nicholas has backed them to collect a positive result, but expects a change in style in the game.
“It's a must-win scenario for Arsenal. They also have to get the last couple of games out of their system,” he told Sky Sports.
“I do expect them to win but can't see it being in the style I like to see from Arsenal. It needs to be a performance containing aggression and commitment to keep their qualification hopes alive.”
Rather than a change of style being necessary for the Gunners, Arsenal fans will be hoping to see more big game management from their side.
In those two losses to Zagreb and Olympiakos earlier in the campaign, it can be argued that the Gunners hugely underestimated their opponents on the night.
That was something that cost them in the Olympiakos game in particular, with them failing to fully assess the situation after drawing level.
Arsenal fans will be hoping that lessons have been learned, with these upcoming games being vital to their Champions League future this season.